Class AnalyticModelFromCurvesAndVols

java.lang.Object
net.finmath.marketdata2.model.AnalyticModelFromCurvesAndVols
All Implemented Interfaces:
Serializable, Cloneable, AnalyticModel, Model

public class AnalyticModelFromCurvesAndVols extends Object implements AnalyticModel, Serializable, Cloneable
Implements a collection of market data objects (e.g., discount curves, forward curve) which provide interpolation of market data or other derived quantities ("calibrated curves"). This can be seen as a model to be used in analytic pricing formulas - hence this class is termed AnalyticModelFromCuvesAndVols.
Version:
1.0
Author:
Christian Fries
See Also:
  • Constructor Details

    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols()
      Create an empty analytic model.
    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(RandomVariableFactory randomVariableFactory)
      Create an empty analytic model using a given AbstractRandomVariableFactory for construction of result types.
      Parameters:
      randomVariableFactory - given AbstractRandomVariableFactory for construction of result types.
    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(Curve[] curves)
      Create an analytic model with the given curves.
      Parameters:
      curves - The vector of curves.
    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(RandomVariableFactory randomVariableFactory, Curve[] curves)
      Create an analytic model with the given curves using a given AbstractRandomVariableFactory for construction of result types.
      Parameters:
      randomVariableFactory - given AbstractRandomVariableFactory for construction of result types.
      curves - The vector of curves.
    • AnalyticModelFromCurvesAndVols

      public AnalyticModelFromCurvesAndVols(Collection<Curve> curves)
      Create an analytic model with the given curves.
      Parameters:
      curves - A collection of curves.
  • Method Details